Interbank Market Interest Rate Risk Measure An Empirical Study Based on VaR Model

Yuanyuan Peng, Luoyuan Cheng, Yue Zhu


In this paper, we use the VaR model to study the daily weighted average interest rate of the interbank market in China from January 4, 2013 to October 30, 2014, and establish the interest rate risk measure of China's interbank lending market based on GARCH model (GARCH (1,1) / TARCH (1,1) / EGARCH (1,1)), the following conclusions are drawn: t distribution is not suitable for describing the distribution of interbank lending rate series in China, the generalized error distribution Which can better describe the distribution of interbank lending rates in China. According to the sample data, the risk of interbank lending rates at the present stage is also low.

Full Text:



Xiao C, et al. VaR theory and its application. Journal of Mathematical Statistics and Management, 2003, (2): 23-45

Shen Yue. VAR the evolution and latest development of the macroeconomic econometric model - Based on the expansion of the Nobel Prize in Economics in 2011. [N]. Quantitative Economics and Technology Research, 2012.10 (3).

Zhang Na, Huang Xinfei. Fluctuation of Interest Rate in China's Interbank Market [J]. Statistics and Decision Making, 2006, (8): 45-47

[Tan Hui. Empirical study on interest rate risk measurement of chinese commercial banks based on VaR model - Taking interbank market as an example [D]. Chongqing: Chongqing Normal University, 2012.

Xin Li. Empirical study on interest rate risk VaR measurement of interbank market in China's commercial banks [D]. Chengdu: Southwest University of Finance and Economics, 2012.

WANG De-quan. Application of ARMA-GARCH model and VaR method in interbank lending market in China [J]. Systems Engineering, 2009, (5): 13-16

Li Cheng, Ma Guoxi. Application of VaR model in China's bank interbank market [J]. Finance Research, 2007, (5): 46-48

Li Zhihui, Li Zhihui. Study on the measurement of interest rate risks of chinese commercial banks - Taking interbank market as an example [EB / OL]. Http:// = 18 u0026 recid = u0026 filename = NKJJ200603003 u0026 dbname = CJFD2006 u0026 dbcode = CJFQ u0026 pr = u0026 urlid = u0026 yx = u0026 uid = WEEvREcwSlJHSldTTGJhYlRGbG1lZ0VFOUtOa2wxSFd5MmZpUkRLVndlekNKNnI2bFRTSytFaTZYTThQ QkVHbXpKQT0 = $ 9A4hF_YAuvQ5obgVAqNKPCYcEjKensW4IQMovwHtwkF4VYPoHbKxJw !! u0026 v = MjgxNDV MRzRIdGZNckk5Rlo0UjhlWDFMdXhZUzdEaDFUM3FUcldNMUZyQ1VSTDZlWnVkdkZpbm5WTHZOS3liQlo =.

Xu Wei. GARCH model and VaR measurement research [EB / OL]. Http:// u0026CurRec=2u0026recid=u0026filename=SLJY200801013u0026dbname=CJFD2008u0026dbcode=CJFQu0026pr = u0026 urlid = u0026 yx = u0026 uid = WEEvREcwSlJHSldTTGJhYlRGbG1lZ0VFOUtOa2wxSFd5MmZpUkRLVndlekNK NnI2bFRTSytFaTZYTThQQkVHbXpKQT0 = $ 9A4hF_YAuvQ5obgVAqNKPCYcEjKensW4IQMovwHtwkF4VYPoHbKx Jw !! u0026 v = MjMyODFpSEJkN0c0SHRuTXJvOUVaNFI4ZVgxTHV4WVM3RGgxVDNxVHJXTTFGckNVUkw2ZVp1 ZHZGaW5uV3IzQk4 =.

Li Liangsong. A study on the effectiveness of Shanghai interbank offered rate [J]. Journal of Finance Research, 2009, (9): 56-58 (in Chinese with English abstract) [J].

ZHENG Yao-tian, DU Zi-ping. Strategic estimation of interbank offer rate based on VaR model [J]. Industrial Technology Economy, 2007, (12): 105-107



  • There are currently no refbacks.

Creative Commons License

This site is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.